Understanding Unit Rooters: A Helicopter Tour

DOI10.21034/dp.4zbMath0739.62085OpenAlexW3123729667MaRDI QIDQ3989217

Harald F. Uhlig, Christopher A. Sims

Publication date: 28 June 1992

Full work available at URL: https://doi.org/10.21034/dp.4

zbMATH Keywords

autoregressive modelsp-valuesunit rootslikelihood principleasymptotic equivalence to Bayesian posterior tail probabilitynonstationary dynamic models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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